Epstein Secrets

5bps. Despite concerns on the Fed, the VIX fell 0.32 vol points to 10.38, and SPX 1m ATM implied vol declined 0.3 vol points to 7.6%. Chart 13: The Nasdaq has set a new record for consecutive days without a 5% peak-to-trough drawdown 160 «2 136 140 120 100 Bo 80 60 40 Be 20 SSeS 0 16-Jun-17 14-J

% 2M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 1.16 98% ° Source: BofA Merrill Lynch Global Research 5% * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E a a oo a a a ee mid level implied vol ise] iss} o oO D o ise] D o ise] D o ise] oO > Sao 7 SYN FT EH FEY FOS Source:

oes Bankof America 4 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch HOUSE_OVERSIGHT_023578 --- PAGE BREAK --- Chart 9: In May, the Nasdaq recorded its longest streak of monthly gains since 2009 (7M). However, compared to the only other instances of longer streaks (‘86, ‘95) the current

in July and August as ~US$4.0bn of legacy products may knock-out in Jul-17 with an average HSCEI knock-out level of 9665 (Chart 43). e — Issuance in KOSPI2-linked products (up from US$840mn to US$846mn) remained steady in May-17; HSI-linked products fell 66% from US$360mn to US$120mn as investors prefere

_025983 --- PAGE BREAK --- Week in review & notable trends (US) US equities at new all-time highs on upbeat employment report Both the S&P500 and NASDAQ finished the week higher marking fresh all-time highs as the July nonfarm payrolls and average hourly earnings came in better-than-expected. As a res

t Level Table 5: Volatility measures of major Asian indices (data as of 5-Aug-16) Korean structured product issuance increased to US$1.9bn in July: KOSPI2-linked products dominated Korean auto-callable product issuance ticked up last month, with a total of USS 1.9bn notional issued, vs. USS 1.6bn total